[Statlist] Next talk: Friday, January 20, 2012, with Boaz Nadler

[Cecilia Rey]

ETH and University of Zurich

Proff. P. Buehlmann -  L. Held - H.R. Kuensch -
M. Maathuis -  S. van de Geer - M. Wolf


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We are glad to announce the following talk
Friday, January 20, 2012, 15.15h, HG G 19.1

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  by Boaz Nadler (Weizmann Institute of Science, Israel)

  Titel:
On Roy's largest root test for signal detection in noise, MANOVA and  
canonical correlation analysis

Abstract
Roy's largest root is one of the four most common tests in  
multivariate analysis of variance (MANOVA), with applications in many  
other problems, including signal detection in noise, and canonical  
correlation analysis.
The other three popular tests, namely Wilks Lambda, Hotelling-Lawley  
trace and Pillai-Bartlett trace, have been thoroughly studied, and  
accurate F-type approximations to their distributions have been  
derived. In contrast, accurate and tractable approximations to the  
distribution of Roy's largest root test have so far resisted such  
analysis and remained an open problem for several decades.
In this talk, I'll derive a simple yet accurate approximation for the  
distribution of Roy's largest root test, in the extreme case of a rank- 
one alternative, also known as concentrated non-centrality, where the  
difference between groups is concentrated in a single direction, or  
similarly only a single signal is present.
Our results allow power calculations for Roy's test, and provide a  
lower bound on the minimal number of samples required to detect a  
given group difference, or a given signal strength.

Joint work with Iain Johnstone (Stanford).


The abstract is also to be found here:  http://stat.ethz.ch/events/research_seminar



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